Approximation with ergodic processes and testability
Ergodicity, mixing, rates of mixing (37A25) Ergodic theorems, spectral theory, Markov operators (37A30) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Time series analysis of dynamical systems (37M10) Nonparametric hypothesis testing (62G10)
Stationary time series taking values in a Polish space are identified with measure-preserving transformations, allowing approximation results and methods from ergodic theory to be applied. The main results give uniform approximation over all finite time intervals by processes satisfying various properties related to mixing, and by codings of aperiodic processes. In the non-parametric setting considered here this shows that the power a test for any of those mixing-type properties cannot exceed its size, so is not testable (in contrast to the theory of tests for ergodicity in the Markovian setting). These results also contrast with consistent estimation schemes for more restricted classes of time series. The approximation results are also used to deduce Baire category results for mixing properties in this setting.
- Hypothesis testing for families of ergodic processes
- A consistent nonparametric test of ergodicity for time series with applications
- Testing composite hypotheses about discrete ergodic processes
- Adaptive tests for stochastic processes in the ergodic case
- Testing stationary processes for independence
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- A consistent nonparametric test of ergodicity for time series with applications
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- Category theorems for stable semigroups
- Coding a stationary process to one with prescribed marginals
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- In general a measure preserving transformation is mixing
- Learning whenever learning is possible: universal learning under general stochastic processes
- Lectures on ergodic theory
- Measure theory. Vol. I and II
- MultiTowers, conjugacies and codes: Three theorems in Ergodic theory, one variation on Rokhlin’s Lemma
- On coding a stationary process to achieve a given marginal distribution
- On density estimation from ergodic processes
- On density of ergodic measures and generic points
- On marginal distributions and isomorphisms of stationary processes
- On obtaining a stationary process isomorphic to a given process with a desired distribution
- On optimal stationary couplings between stationary processes
- On the approximation of stationary measures by periodic and ergodic measures
- On the category of ergodic measures
- On the testability of identification in some nonparametric models with endogeneity
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Upper semi-continuity of entropy in non-compact settings
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